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Flávio Augusto Ziegelmann · Study

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Flávio Augusto Ziegelmann

4 works· latest 2014· 1 institutionscluster: provisionalORCID 0000-0001-8899-350X

h-index4

i104

Citations255

Works here4

02

12

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14

Most cited in this library

Modeling dependence dynamics through copulas with regime switching2012 · 96 citations
NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR2002 · 64 citations
Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA2014 · 54 citations
Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)2013 · 41 citations

Works

4 shown

Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA

Journal of Forecasting·2014·2 authors

54citations

Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)

Quantitative Finance·2013·3 authors

41citations

Modeling dependence dynamics through copulas with regime switching

Insurance Mathematics and Economics·2012·3 authors

96citations

NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR

Econometric Theory·2002·1 author·Open access

64citations